Jhonathan Abreu
52 lines
2.3 KiB
Python
52 lines
2.3 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from AlgorithmImports import *
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### <summary>
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### Regression algorithm illustrating the usage of the <see cref="QCAlgorithm.OptionChain(Symbol)"/> method
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### to get an option chain, which contains additional data besides the symbols, including prices, implied volatility and greeks.
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### It also shows how this data can be used to filter the contracts based on certain criteria.
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### </summary>
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class OptionChainFullDataRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2015, 12, 24)
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self.set_end_date(2015, 12, 24)
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self.set_cash(100000)
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goog = self.add_equity("GOOG").symbol
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option_chain = self.option_chain(goog)
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# Demonstration using data frame:
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# Get contracts expiring within 10 days, with an implied volatility greater than 0.5 and a delta less than 0.5
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contracts_ids = [
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contract_data["id"]
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for index, contract_data in option_chain.data_frame.iterrows()
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if contract_data["id"].date - self.time <= timedelta(days=10) and contract_data["impliedvolatility"] > 0.5 and contract_data["greeks"].delta < 0.5
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]
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# Get the contract with the latest expiration date
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option_contract_id = sorted(contracts_ids, key=lambda id: id.date, reverse=True)[0]
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self._option_contract = [x.symbol for x in option_chain if x.symbol.id == option_contract_id][0]
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self.add_option_contract(self._option_contract)
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def on_data(self, data):
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# Do some trading with the selected contract for sample purposes
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if not self.portfolio.invested:
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self.market_order(self._option_contract, 1)
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else:
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self.liquidate()
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